Well, I think the US is going to be very hesitant to take any territory which already has a large population of hostile Confederates within it - it may nibble off a bit here or there where it's strategically intelligent, but trying to swallow any large bites of territory is likely out of the question. Remember that those same ex-Confederates will have voting rights and be able to elect Congressmen who's loyalty to the US government would be dubious at best. And if one tries to solve this problem by denying them voting rights (and, by extension citizenship) that just creates a whole heap of other troubles.
One could see efforts to encourage internal migration to Kentucky to swamp it with loyal Americans; but said settlers would be moving into a land where they would be instantly hated by their neighbors as invaders, which is a less than stellar draw to would be migrants. Furthermore, even with the destruction that is likely going to occur in the territory, it would likely take decades before you the new-comers outnumbers the native Kentucks. So, at a certain point, the US has to wonder if the anneation of Kentucky is even worth it; and I doubt they would think it would be. Should they try to create an independent buffer state (which I'm not sure they would even want to do that much), they would get most of the benefits of annexing the state without any of the costs that such a move would entail.